On the Cox Risk Model When the Premium Income Is a Compound Poisson Process

摘要

Researching the ruin probability of the Cox risk model when the arrival of insurance policies is a compound Poisson process by martingale method, we offer the super bound of ruin probability. And we discuss the integral representation of the ultimate non-ruin probability and the integral-differential representation of the finite non-ruin probability when the intensity process of the Cox process is a markovian jump process.